SQQQ Options History — March 2020 In March 2020, SQQQ traded between $11950.00 and $19456.25. ATM implied volatility averaged 177.7%, placing in the 43.7% IV rank vs the trailing year. The 30-day expected move averaged 50.1%. IV traded above realized volatility by 20.6% (HV 20d: 157.0%). Max pain ranged from $11875.00 to $12500.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.21.
Notable Days 2020-03-20 : Highest Volume — 138 contracts2020-03-16 : Largest IV spike — 45.4% change2020-03-18 : Highest IV Rank — 68.2%2020-03-18 : Largest Expected Move — 73.9%Monthly Statistics Metric Avg Min Max Open Close Price $15090.91 $11950.00 $19456.25 $13187.50 $12143.75 Max Pain $12329.55 $11875.00 $12500.00 $11875.00 $12500.00 ATM IV 177.7% 101.6% 257.9% 108.9% 151.3% Expected Move 50.1% 29.1% 73.9% 31.2% 43.4% HV 20d 157.0% 101.5% 211.2% 103.0% 198.6% HV 60d 98.5% 64.6% 129.0% 64.6% 129.0% IV Rank 43.7% 20.5% 68.2% 22.7% 35.6% IV Percentile 98.0% 92.5% 99.6% 98.8% 92.5% Term Structure -20.1% -55.6% -4.0% -8.1% -4.0% VWIV 178.2% 108.7% 252.9% 124.8% 171.4% Skew 25d -58.1% -79.3% -27.6% -55.7% -75.1% Skew 10d -90.1% -123.9% -50.9% -85.8% -123.9% Call IV 25d 209.6% 126.2% 293.5% 144.6% 207.7% Put IV 25d 151.5% 76.7% 230.9% 88.9% 132.6% Bid-Ask Spread % 35.57 13.52 65.33 41.08 13.52 Gamma HHI 0.08 0.07 0.10 0.08 0.08 Net GEX 2.6M 1.1M 4.5M 2.2M 1.5M Net DEX -271.8M -581.9M -93.6M -128.2M -109.1M Net VEX -802.9K -920.7K -627.5K -727.1K -627.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.21 0.11 0.31 0.22 0.21 Total Volume 83.273 46 138 66 59 Total OI 458.955 272 585 407 346
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-03-02 $13187.50 $11875.00 108.9% 31.2% 103.0% 22.7% 124.8% -55.7% -8.1% 2.2M -128.2M -727.1K 0.22 41.08 N/A N/A 54 12 264 143 2020-03-03 $13468.75 $11875.00 126.3% 36.2% 101.5% 28.0% 126.2% -62.9% -17.5% 2.4M -153.6M -773.9K 0.20 38.30 N/A N/A 93 19 284 146 2020-03-04 $12381.25 $11875.00 101.6% 29.1% 102.6% 20.5% 108.7% -49.5% -6.0% 2.3M -95.0M -753.3K 0.25 26.20 N/A N/A 78 19 306 150 2020-03-05 $13256.25 $11875.00 138.1% 34.5% 104.9% 31.6% 124.8% -51.1% -15.1% 3.0M -187.2M -859.4K 0.20 50.13 N/A N/A 86 18 350 151 2020-03-06 $14087.50 $11875.00 152.8% 40.4% 105.9% 36.1% 139.4% -47.0% -21.9% 3.4M -252.1M -910.8K 0.19 54.18 N/A N/A 82 16 370 148 2020-03-09 $16068.75 $11875.00 187.6% 48.4% 113.9% 46.7% 164.1% -36.5% -26.0% 3.7M -378.3M -910.3K 0.19 55.43 N/A N/A 83 15 382 150 2020-03-10 $14456.25 $12500.00 164.4% 42.2% 121.2% 39.6% 150.8% -45.1% -19.0% 3.9M -284.0M -896.6K 0.14 46.58 N/A N/A 85 12 391 155 2020-03-11 $15762.50 $12500.00 158.1% 45.3% 123.5% 37.7% 155.3% -31.9% -23.1% 4.1M -364.6M -900.0K 0.20 47.15 N/A N/A 61 12 397 154 2020-03-12 $19456.25 $12500.00 187.9% 53.9% 139.4% 46.8% 162.7% -27.6% -33.8% 3.4M -581.9M -920.7K 0.28 65.33 N/A N/A 90 25 401 158 2020-03-13 $16693.75 $12500.00 174.0% 49.9% 153.9% 42.6% 181.7% -79.3% -19.2% 3.5M -427.1M -884.7K 0.23 50.80 N/A N/A 70 16 396 165 2020-03-16 $18056.25 $12500.00 253.0% 72.5% 154.7% 66.6% 240.9% -55.3% -55.6% 3.6M -504.5M -908.7K 0.29 38.28 N/A N/A 71 21 417 164 2020-03-17 $15768.75 $12500.00 225.4% 64.6% 164.9% 58.2% 235.5% -63.3% -35.9% 3.7M -372.7M -838.8K 0.31 34.49 N/A N/A 73 23 411 163 2020-03-18 $18512.50 $12500.00 257.9% 73.9% 170.9% 68.2% 252.9% -62.5% -23.1% 4.0M -536.8M -846.9K 0.20 33.23 N/A N/A 77 16 425 160 2020-03-19 $15606.25 $12500.00 215.6% 61.8% 185.3% 55.2% 225.4% -73.8% -20.0% 4.5M -344.3M -762.5K 0.27 30.16 N/A N/A 62 17 408 163 2020-03-20 $17906.25 $12500.00 197.4% 56.6% 189.5% 49.7% 189.2% -63.5% -15.1% 1.1M -461.2M -776.7K 0.15 23.33 N/A N/A 120 18 398 163 2020-03-23 $18837.50 $12500.00 191.1% 54.8% 188.0% 47.8% 187.5% -48.6% -12.0% 1.3M -233.4M -781.2K 0.26 23.67 N/A N/A 40 10 189 83 2020-03-24 $14668.75 $12500.00 180.7% 51.8% 209.8% 44.6% 190.3% -51.3% -25.1% 1.1M -127.2M -731.5K 0.23 19.32 N/A N/A 48 11 192 87 2020-03-25 $13793.75 $12500.00 191.2% 54.8% 211.2% 47.8% 200.5% -67.4% -21.2% 1.1M -117.7M -719.2K 0.23 22.85 N/A N/A 52 12 207 88 2020-03-26 $12937.50 $12500.00 187.5% 53.8% 208.1% 46.7% 198.8% -75.0% -23.4% 1.1M -104.9M -714.6K 0.19 24.68 N/A N/A 45 9 217 89 2020-03-27 $13000.00 $12500.00 190.2% 54.5% 205.7% 47.5% 203.2% -78.5% -13.2% 1.3M -123.5M -738.6K 0.11 23.33 N/A N/A 42 4 240 92 2020-03-30 $11950.00 $12500.00 167.4% 48.0% 198.7% 40.5% 187.1% -76.4% -4.7% 1.2M -93.6M -681.1K 0.16 20.49 N/A N/A 48 8 240 94 2020-03-31 $12143.75 $12500.00 151.3% 43.4% 198.6% 35.6% 171.4% -75.1% -4.0% 1.5M -109.1M -627.5K 0.21 13.52 N/A N/A 49 10 256 90
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